Universal Investment Strategy

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Looking at the total return, or performance of 73.4% in the last 5 years of Universal Investment Strategy, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (111.4%)
• During the last 3 years, the total return, or performance is 47.6%, which is lower, thus worse than the value of 66.9% from the benchmark.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Looking at the annual return (CAGR) of 11.7% in the last 5 years of Universal Investment Strategy, we see it is relatively lower, thus worse in comparison to the benchmark SPY (16.2%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 13.9%, which is lower, thus worse than the value of 18.7% from the benchmark.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The 30 days standard deviation over 5 years of Universal Investment Strategy is 8.6%, which is smaller, thus better compared to the benchmark SPY (17.3%) in the same period.
• During the last 3 years, the 30 days standard deviation is 8.4%, which is lower, thus better than the value of 16.9% from the benchmark.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Compared with the benchmark SPY (11.9%) in the period of the last 5 years, the downside risk of 5.9% of Universal Investment Strategy is smaller, thus better.
• During the last 3 years, the downside risk is 5.5%, which is lower, thus better than the value of 11.2% from the benchmark.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Compared with the benchmark SPY (0.79) in the period of the last 5 years, the risk / return profile (Sharpe) of 1.07 of Universal Investment Strategy is greater, thus better.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 1.37, which is greater, thus better than the value of 0.96 from the benchmark.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Looking at the excess return divided by the downside deviation of 1.56 in the last 5 years of Universal Investment Strategy, we see it is relatively greater, thus better in comparison to the benchmark SPY (1.15)
• During the last 3 years, the excess return divided by the downside deviation is 2.07, which is greater, thus better than the value of 1.44 from the benchmark.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Looking at the Downside risk index of 4.33 in the last 5 years of Universal Investment Strategy, we see it is relatively smaller, thus better in comparison to the benchmark SPY (8.43 )
• Looking at Downside risk index in of 1.79 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (4.21 ).

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum DrawDown of -12.2 days of Universal Investment Strategy is larger, thus better.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum DrawDown of -7.5 days is greater, thus better.

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs) in days.'

• Looking at the maximum days under water of 489 days in the last 5 years of Universal Investment Strategy, we see it is relatively higher, thus worse in comparison to the benchmark SPY (488 days)
• Compared with SPY (97 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 92 days is smaller, thus better.

AveDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

• Looking at the average days under water of 120 days in the last 5 years of Universal Investment Strategy, we see it is relatively larger, thus worse in comparison to the benchmark SPY (120 days)
• Looking at average days under water in of 22 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (27 days).